Comparison study of transfer function and artificial neural network for cash flow analysis at Bank Rakyat Indonesia

Abstract

The cash flow analysis is essential to examine the economic flows in the financial system. In this paper, the financial dataset at Bank Rakyat Indonesia was used, it recorded the sources of cash inflow and outflow during a particular period. The univariate time series model like the autoregressive and integrated moving average is the common approach to build the prediction based on the historical dataset. However, it is not suitable to estimate the multivariate dataset and to predict the extreme cases consisting of nonlinear pairs between independent-dependent variables. In this study, the comparison of using two types of models i.e., transfer function and artificial neural network (ANN) were investigated. The transfer function model includes the coefficient of moving average (MA) and autoregressive (AR), which allows the multivariate analysis. Furthermore, the artificial neural network allows the learning paradigm to achieve optimal prediction. The financial dataset was divided into training (70%) and testing (30%) for two types of models. According to the result, the artificial neural network model provided better prediction with achieved root mean square error (RMSE) of 0.264897 and 0.2951116 for training and testing respectively.